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Quineche, Ricardo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 5, pp. 693-703

Persistent link: https://www.econbiz.de/10013554939

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

and relationships with previously proposed specifications are discussed and stationarity conditions are derived. An …

Persistent link: https://www.econbiz.de/10009767120

Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126

Persistent link: https://www.econbiz.de/10010224748

Gardberg, Malin; Pozzi, Lorenzo - 2018 - Revision: September 2018

has been suggested in the literature recently - the non-stationarity of the standard "cay" variable cannot be dealt with …

Persistent link: https://www.econbiz.de/10011844588

Mathur, Shreya; Chotia, Varun; Rao, N. V. Muralidhar - In: Asia-Pacific journal of management research and … 12 (2016) 1, pp. 11-22

Persistent link: https://www.econbiz.de/10011559376

Chlebus, Marcin; Dyczko, Michał; Woźniak, Michał - 2020

Persistent link: https://www.econbiz.de/10012322190

Yadav, Miklesh Prasad; Khera, Aastha - In: International journal of public sector performance … 11 (2023) 4, pp. 451-466

Persistent link: https://www.econbiz.de/10014313384

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …

Persistent link: https://www.econbiz.de/10010259626

Benčík, Daniel - 2014

a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …

Persistent link: https://www.econbiz.de/10010461231

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

Persistent link: https://www.econbiz.de/10011505854